South African Factor Data Library
Risk factors and the strategy based thereon are fast becoming an integral part of the global asset management landscape. This open-source library provides investors with a database of South African equity risk factors constructed as per international asset pricing literature. In particular, we construct seven Fama-French style factors including Size, Value, Momentum, Profitability, Investment, Low Volatility and Low Beta.
Full ALSI Universe Factors
Size-Constrained ALSI Universe Factors
Please see our 2016 research report Factor Investing in South Africa for a complete outline of the factor construction methodology. Otherwise, all datasets include a brief description of factors and the factor model.
For more information on custom factor data or factor-based projects, contact us on ResearchAdmin@peresec.com.
Latest file update: 31 August 2023
